V-Lab: AEX-Index MF2-GARCH Volatility Analysis

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V-Lab

AEX-Index MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 5th, 2023:10.31% (-0.07%)

Analysis last updated: Monday, December 4, 2023 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.00
$β$	0.8379	216.33
$γ$	0.1791	40.32
$λ_{1}$	0.0088	4.00
$λ_{2}$	0.0491	3.60
$λ_{3}$	0.9438	60.62

Estimation Period:
Jan 1, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts